Further Results on the Convergence of the Pavon-Ferrante Algorithm for\n Spectral Estimation

2016/12/12 by Giacomo Baggio, Baggio, Giacomo
Computer Science · Engineering · Mathematics · #Advanced Optimization Algorithms Research #Control Systems and Identification #FOS: Mathematics #Optimization and Control (math.OC) #Optimization and Variational Analysis

paper · pdf · doi:10.48550/arxiv.1612.03570

openalex publication_date 2016/12/12 · openalex created_date 2022/10/02 · openalex updated_date 2026/07/28

Abstract

In this paper, we provide a detailed analysis of the global convergence\nproperties of an extensively studied and extremely effective fixed-point\nalgorithm for the Kullback-Leibler approximation of spectral densities,\nproposed by Pavon and Ferrante in [Pavon and Ferrante, 2006]. Our main result\nstates that the algorithm globally converges to one of its fixed points.\n

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